Regular OTC Derivatives Market Statistics

11 May 2010

Key developments in the second half of 2009:

Notional amounts of all types of OTC derivatives contracts outstanding increased by 2% during the second half of 2009, rising to $615 trillion at the year-end. Interest rate and foreign exchange derivatives accounted for most of this increase. By contrast, overall gross market values decreased by 15%, following a contraction of 22% in the previous six-month period. Gross credit exposures fell by 6%, following an 18% decline in the previous period.

Notional amounts outstanding of CDS contracts continued to decline (-9%), albeit at a slower pace than in the first half of 2009 (-14%), while positions on commodities also receded, by 21%. CDS gross market values shrank by 40%, a similar rate of decline to that seen in the first half of the year (-42%). This brought the market value of the CDS contracts down to 35% of its end-2008 peak.

Comprehensive explanatory notes in the release define the coverage of the statistics and the terms used in presenting them.